Pricing Defaultable Bonds Using a Lévy Jump‐Diffusion Model

2018 ◽  
Vol 19 (3) ◽  
pp. 613-640 ◽  
Author(s):  
Shu L. Chiang ◽  
Ming S. Tsai
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Defaultable Bonds ◽  
Jump Diffusion Model

The Pricing of Vulnerable Options Under Jump-Diffusion Model

2013 ◽  
Vol 15 (3) ◽  
pp. 204
Author(s):  
Chixiang CHEN ◽  
Biyi SHEN ◽  
Guangyu YANG
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Vulnerable Options

MCMC estimation of a multi-factor jump diffusion model for power prices

2008 ◽  
Vol 1 (4) ◽  
pp. 65-90 ◽  
Author(s):  
Rikard Green ◽  
Marcus Nossman
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Mcmc Estimation ◽  
Jump Diffusion Model

Bayesian Inference for the Jump-Diffusion Model withMJumps

2014 ◽  
Vol 43 (18) ◽  
pp. 3955-3985 ◽  
Author(s):  
Maciej Kostrzewski
Keyword(s):  
Bayesian Inference ◽  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model

scholarly journals The Critical Price of the American Put Near Maturity in the Jump Diffusion Model

2016 ◽  
Vol 7 (1) ◽  
pp. 236-272
Author(s):  
Aych Bouselmi ◽  
Damien Lamberton
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
American Put
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